How do I distribute a stand-alone made with BGE (Blender Game Engine)?
Before you export you should do File/External Data/Make All Files Relative and save.

This ensures the paths are relative to the current blend file. 

Be aware: This influences the current blend only. When you link to blend files that refer to other files, this file needs to be changed too. 

When you export from WinOS you need to deliver all files from your export directory to ensure all the libraries (.dll) are available.